Sorry, your question cannot be answered. We have no idea why someone may have chosen to do this. There are many legitimate reasons. and, sure, it could be done for some improper purposes. The legitimate reasons could include insulate liability issues between the companies, expand to a new market or line of business, or perhaps there are differing ownership of the two LLC's. There is no real way to tell without asking.
Can entities be formed in different jurisdictions to accomplish the purpose of transferring or hiding assets or tax avoidance? Sure, however, you need a full understanding of the reasons for setting up the second entity.
In addition to Mark's wise counsel, there are three additional possibilities (of many potential possibilities) that may be applicable to your question for you to consider:
1. Co A, LLC does business directly in New Mexico and is required to register as a "foreign LLC":
Under each state's business laws, when an entity, formed in a different state, engages in business in that state, that entity may be required to register to do business in that second state.
Using your fact pattern as a base, if CoA, LLC is doing business in New Mexico, CoA, LLC may be required to register in New Mexico. CoA,LLC, for purposes of New Mexico is referred to as a "foreign" LLC--which simply means that CoA, LLC was not originally formed in the State of New Mexico. As far as Texas is concerned, CoA, LLC is a "domestic" LLC in Texas.
2. CoA, LLC wants to separate its activities in New Mexico from its activities in Texas:
In some situations, it is advisable to pursue separate lines of business, or separate business activities in separate entities (whether LLC, LP, Corp, etc). This may be to insulate the assets and business of the first entity from a new venture, or simply to have two separate and independent operations. In either case, the two entities can be set up as a "parent-subsidiary" setup where the existing LLC is the sole-owner of the new LLC, or as "sister" entities, meaning the members of the existing LLC are also the members of the new LLC.
3. Tax Planning:
While one purpose of using separate entities may be managing and/or benefiting from different tax systems, if both entities are under common ownership and are taxed as "pass-through" entities, this benefit may be minimal.
The bottom line is that simply setting up one, two or multiple business entities in different jurisdictions is a normal and regular business and investment practice, and without further information about the purposes for the structure does not impute any improper motive.
Disclaimer: My answer is provided without all relevant facts, let alone your unique objectives. No attorney-client relationship is hereby created as a consequence and you should not take (or not take) any action based on my answer. I highly recommend that you consult with competent legal counsel before deciding to take or not take any action, as every situation is more complex than it appears.
There are way too many possibilities. Considering the state chosen, I'm not too sure whether one should be leery of an ulterior motive. Texas generally has favorable piercing rules tax rules (i.e. no state income tax; limited franchise tax). States other than New Mexico are generally preferred to "hide" assets or pay less tax.
In other words, it seems like there's a legitimate business or convenience purpose to form the NM LLC.
The above statements are provided as general information and not intended as legal advice. Each matter has its own set of unique circumstances that cannot be adequately addressed without consultation. You are strongly advised to hire an attorney licensed to practice law in your state to represent you.